Rollover not sticking.

[bluelou]

I'm trying to rollover a couple of FX futures contracts. The rollover process appears to go smoothly but when I plot the new front month contract post-rollover none of the rolled over historical data is in the chart.

What's happening? How do I know if the rollover has occurred successfully if I can't plot the data?

[NinjaTrader_Josh]

bluelou,

Have you merged the data over with the steps outlined here? http://www.ninjatrader-support.com/H...eV6/Merge.html

[bluelou]

Yes, I've been through this with NinjaTrader at each rollover for about 9 months now. I follow the process exactly but then I can't plot the data - for several days anyway.

What seems to be happening is the following:
1) My charts need about 5 days of tick data for my indicators to generate a plot.

2) If I try to create a chart within 5 days of the rollover period that means that I must plot both the new front-month contract and a few days of the back month. When I try to do this the merged contract data doesn't plot.

3) However, once we get a couple of days past the rollover date the charting appears to work properly.

This is a real problem when auto-trading b/c my strategy can "see" the merged data but I'm flying blind b/c I can't plot the data - for a few days anyway.

Try doing this with the 6E 06-09 contract and merge the 03-09 data into it as of yesterday's close. When I try to plot the 6E 06-09 contract data post-merge I don't get any of the merged data.

[dolphin412]

I have the same exact problem. I do the Merge exactly as described, and after its complete I open up a chart and I can see its merged. However, next time I open up NinjaTrader and connect to Zen-Fire all the merged data is lost.

The difference with me is that I have NEVER had the merge stick. I tried it at least 20 times for the last rollover period (December -> March) and every single time it works until I restart NT. I even tried using different computers and it still didn't stick.

This is a very frustrating problem, and I would REALLY appreciate any solutions to this.

Thank you.

[bluelou]

dolphin412,
The merge seems to work only if you merge the contracts several days after the ACTUAL rollover date has occurred. I've been dealing with this for a few months now.

It wasn't a big deal when I was just backtesting. But it cost me the equivalent of several Ninja licenses today b/c my systems weren't in the market when they need to be. Very frustrating.

[dolphin412]

blue,

I've tried that too. In fact, I've been trying to merge December into March every few weeks since that rollover period hoping that one day it will just stick. But no go. I've even tried some of the methods that other people have suggested in this forum. Nothing works.

I've tried it on ES and NQ and neither work. Feed is Zen-Fire.

Thanks for the tip though.

[NinjaTrader_Kyle]

Hello All,

Thank you for your posts.

Is it possible that you are reloading historical data onto your merged merged contracts?

If this is the case, historical data is being reloaded from the broker server replacing the merged data.

[bluelou]

It's very buggy, no doubt. I'm trying to merge the 6B contract right now. I have chart open for both the front and the back month contracts but the Merge window box states that I have no data for the "to" contract - which is nonsense since I have the front month chart open.

I think your merge will actually work if you're not logged into your data provider. Once you log in, however, NT will overwrite your data merge once it pulls in data from your provider. You can try this on your own if your curious.

[bluelou]

Kyle, I think that is what's going. How do you stop this from happening? I use IQFeed and dolphin uses Zen-Fire. We can't exactly blame the data provider for filling NT's data request.

[dolphin412]

That seems like the problem. So how do you make sure to not reload historical data?

[bluelou]

Right, while requesting just enough data from your data provider to append your historical chart with live data.

[NinjaTrader_Kyle]

Hello All,

Unfortunately, aside from disconnecting from your data connection, there is no way to disable the loading of historical data.

You can find more information about when NinjaTrader loads historical data at the following link: http://www.ninjatrader-support.com/H...ricalData.html

[dolphin412]

Thanks for the reply Kyle.

So there is no way to keep the merged current? It seems like the whole point of merging the data is useless then. What if I uncheck "Use Historical Data Server" when I setup the data provider.

[NinjaTrader_Kyle]

Hi dolphin412,

Thank you for your reply.

Although I have not tested this on my end it sounds like it should work.

Please note that this option is not available on some connections.

[bluelou]

Kyle,
This is quite a revelation. If I understood you correctly you're saying that the merge feature doesn't work properly? This is totally unacceptable. There is no justification for not being able to rollover a contract w/o having the data overwritten by the data provider.

This isn't exactly what NT is doing in my case. I'm using tick data and on the days prior to the rollover date the approaching front-month contract has less tick data than the expiring contract. Both the back-month and the front-month have at least 3 days worth of data and the merge is still not sticking. I believe that the merge starts to work one I get a few days away from the rollover date but I'm not sure why this works.

How do I stop this from happening? I can't just take a few days off around each rollover date.